extremogram1: Sample univariate extremogram

In extremogram: Estimation of Extreme Value Dependence for Time Series Data

Description

The function estimates the sample univariate extremogram and creates an extremogram plot.

Usage

extremogram1(x, quant, maxlag, type, ploting = 1, cutoff = 1, start = 0)

Arguments

x	Univariate time series (a vector).
quant	Quantile of the time series to indicate an extreme event (a number between 0 and 1).
maxlag	Number of lags to include in the extremogram (an integer).
type	Extremogram type. If type = 1, the upper tail extremogram is estimated. If type = 2, the lower tail extremogram is estimated.
ploting	An extremogram plot. If ploting = 1, a plot is created (default). If ploting = 0, no plot is created.
cutoff	The cutoff of the y-axis on the plot (a number between 0 and 1, default is 1).
start	The lag that the extremogram plots starts at (an integer not greater than maxlag, default is 0).

Value

Extremogram values and a plot (if requested).

References

1. Davis, R. A., Mikosch, T., & Cribben, I. (2012). Towards estimating extremal serial dependence via the bootstrapped extremogram. Journal of Econometrics,170(1), 142-152.

2. Davis, R. A., Mikosch, T., & Cribben, I. (2011). Estimating extremal dependence in univariate and multivariate time series via the extremogram.arXiv preprint arXiv:1107.5592.

Examples

# generate a GARCH(1,1) process
omega  = 1
alpha  = 0.1
beta   = 0.6
n      = 1000
quant  = 0.95
type   = 1
maxlag = 70
df     = 3
G = extremogram:::garchsim(omega,alpha,beta,n,df)

extremogram1(G, quant, maxlag, type, 1, 1, 0)

Example output

 [1] 1.00000000 0.12000000 0.06000000 0.04081633 0.08163265 0.10204082
 [7] 0.08163265 0.00000000 0.02083333 0.08333333 0.02083333 0.06250000
[13] 0.06250000 0.04166667 0.04166667 0.04166667 0.02083333 0.04166667
[19] 0.00000000 0.04166667 0.04166667 0.02083333 0.06250000 0.08333333
[25] 0.06250000 0.02083333 0.08333333 0.02083333 0.02083333 0.00000000
[31] 0.02083333 0.10416667 0.06250000 0.02083333 0.06250000 0.08333333
[37] 0.06250000 0.08333333 0.04166667 0.04166667 0.08333333 0.08510638
[43] 0.02127660 0.00000000 0.04255319 0.02127660 0.08510638 0.02127660
[49] 0.02127660 0.04255319 0.06382979 0.00000000 0.06382979 0.06382979
[55] 0.04255319 0.04255319 0.02127660 0.06382979 0.08510638 0.04255319
[61] 0.04255319 0.08510638 0.04255319 0.04255319 0.08510638 0.06382979
[67] 0.02127660 0.00000000 0.00000000 0.00000000

extremogram documentation built on May 2, 2019, 8:22 a.m.